A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options

DOI10.1287/OPRE.1050.0219zbMATH Open1165.91394OpenAlexW2014681269MaRDI QIDQ5322136FDOQ5322136

Yusaku Yamamoto, Mark Broadie

Publication date: 18 July 2009

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/fb99768d28110a70c44510ece94652307251c575

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral transforms (65R10)

Cited In (28)

• Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series
• Error Bounds for Small Jumps of Lévy Processes
• PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
• A numerical method for pricing discrete double barrier option by Lagrange interpolation on Jacobi nodes
• An efficient pricing method for rainbow options based on two-dimensional modified sine–sine series expansions
• A numerical method for pricing discrete double barrier option by Legendre multiwavelet
• A simple and efficient numerical method for pricing discretely monitored early-exercise options
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• THE WIENER-HOPF TECHNIQUE AND DISCRETELY MONITORED PATH-DEPENDENT OPTION PRICING
• Pricing discrete barrier options and credit default swaps under Lévy processes
• Robust barrier option pricing by frame projection under exponential Lévy dynamics
• Double-exponential fast Gauss transform algorithms for pricing discrete lookback options
• A fast algorithm for computing integrals in function spaces: Financial applications
• Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms
• A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion
• Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach
• Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations
• Fourier Cosine Expansions and Put–Call Relations for Bermudan Options
• Fast approximation of the discrete Gauss transform in higher dimensions
• A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
• Computing exponential moments of the discrete maximum of a Lévy process and lookback options
• Pricing some life-contingent lookback options under regime-switching Lévy models
• The Chebyshev fast Gauss and nonuniform fast Fourier transforms and their application to the evaluation of distributed heat potentials
• A general approach for lookback option pricing under Markov models
• Pricing and exercising American options: an asymptotic expansion approach
• Z-Transform and preconditioning techniques for option pricing
• Pricing financial claims contingent upon an underlying asset monitored at discrete times
• Lookback option pricing using the Fourier transform B-spline method

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